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Teoriya Veroyatnostei i ee Primeneniya, 2021, Volume 66, Issue 4, Pages 895–913
DOI: https://doi.org/10.4213/tvp5516 (Mi tvp5516) 		 
On maximal inequalities for Ornstein–Uhlenbeck processes with jumps

N. E. Kordzakhiaa, A. A. Novikovbc

a Department of Mathematics and Statistics, Macquarie University, Sydney, Australia
b University of Technology Sydney, Sydney, Australia
c Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
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DOI: https://doi.org/10.4213/tvp5516
Abstract: We derive moment and exponential inequalities for the maximum of a generalized Ornstein–Uhlenbeck process under some assumptions on tail distributions of a jump component.
Keywords: generalized Ornstein–Uhlenbeck processes, maximal inequality, the Graversen–Peskir inequality, the Legendre transformation.
Received: 05.06.2021
Accepted: 06.07.2021
English version:
Theory of Probability and its Applications, 2022, Volume 66, Issue 4, Pages 713–728
DOI: https://doi.org/10.1137/S0040585X97T990691
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: N. E. Kordzakhia, A. A. Novikov, “On maximal inequalities for Ornstein–Uhlenbeck processes with jumps”, Teor. Veroyatnost. i Primenen., 66:4 (2021), 895–913; Theory Probab. Appl., 66:4 (2022), 713–728
Citation in format AMSBIB
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\by N.~E.~Kordzakhia, A.~A.~Novikov
\paper On maximal inequalities for Ornstein--Uhlenbeck processes with jumps
\jour Teor. Veroyatnost. i Primenen.
\yr 2021
\vol 66
\issue 4
\pages 895--913
\mathnet{http://mi.mathnet.ru/tvp5516}
\crossref{https://doi.org/10.4213/tvp5516}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=4331224}
\zmath{https://zbmath.org/?q=an:1480.60119}
\transl
\jour Theory Probab. Appl.
\yr 2022
\vol 66
\issue 4
\pages 713--728
\crossref{https://doi.org/10.1137/S0040585X97T990691}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85129677276}
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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